Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0007 |
| Annualized Std Dev | 0.1548 |
| Annualized Sharpe (Rf=0%) | 0.0044 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4941.0000 |
| NAs | 1.0000 |
| Minimum | -0.1984 |
| Quartile 1 | -0.0037 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0040 |
| Maximum | 0.1765 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0098 |
| Skewness | -0.9926 |
| Kurtosis | 84.3654 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0071 |
| Gain Deviation | 0.0076 |
| Loss Deviation | 0.0085 |
| Downside Deviation (MAR=210%) | 0.0119 |
| Downside Deviation (Rf=0%) | 0.0071 |
| Downside Deviation (0%) | 0.0071 |
| Maximum Drawdown | 0.5265 |
| Historical VaR (95%) | -0.0118 |
| Historical ES (95%) | -0.0212 |
| Modified VaR (95%) | -0.0020 |
| Modified ES (95%) | -0.0020 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-01-09 | 2008-10-10 | NA | -0.5265 | 3575 | 444 | NA |
| 2001-09-17 | 2004-05-10 | 2005-07-26 | -0.1945 | 972 | 667 | 305 |
| 2005-09-07 | 2005-10-14 | 2005-12-02 | -0.0703 | 62 | 28 | 34 |
| 2006-02-21 | 2006-06-14 | 2006-07-21 | -0.0371 | 106 | 80 | 26 |
| 2006-09-28 | 2006-10-13 | 2006-11-29 | -0.0351 | 44 | 12 | 32 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2001 | NA | NA | NA | NA | NA | NA | -0.1 | 1.5 | -0.5 | -0.2 | 1 | 0.7 | 2.5 |
| 2002 | -0.2 | 0.1 | 0.8 | 0.4 | 0 | 0.9 | 0.1 | -0.1 | -0.3 | 0 | 0.4 | 1.2 | 3.4 |
| 2003 | 1.5 | 0.4 | 1.1 | -0.2 | -0.2 | 0.4 | 0.3 | 0.5 | 0.7 | 0.4 | 0 | -0.1 | 4.8 |
| 2004 | -0.1 | 0.2 | 0.2 | -0.5 | 0.1 | 0.5 | 0.3 | 0.2 | -0.8 | 0.6 | -0.1 | -0.4 | 0.1 |
| 2005 | 1 | -0.3 | 0.8 | 0.3 | -0.2 | -0.2 | 0.5 | 0.4 | 0.3 | 0.6 | -0.1 | -0.6 | 2.6 |
| 2006 | 0.3 | 0.9 | -0.1 | 0.5 | 0.8 | -0.4 | 0.2 | -0.1 | -0.3 | -0.1 | 0.3 | 1.6 | 3.8 |
| 2007 | 0 | -0.1 | 0.3 | 0.1 | 0.2 | -0.1 | -0.2 | -1.2 | -1.6 | 0.6 | 1.7 | -0.1 | -0.3 |
| 2008 | -0.2 | -0.8 | -1.5 | 0.2 | 0.3 | 0.3 | 0.4 | 0 | 0.5 | -0.8 | -0.8 | 0.2 | -2 |
| 2009 | -1.5 | 0 | 2.2 | 1.5 | 0.3 | -0.1 | -0.6 | 0.1 | 1.1 | 0.4 | 0.6 | 0.7 | 4.8 |
| 2010 | -0.1 | 0.6 | 1.1 | 0.1 | -0.1 | 0.3 | 0.6 | 0.1 | 0.6 | 0 | -0.4 | 0.5 | 3.4 |
| 2011 | 0.9 | 0.5 | 0.7 | 0.3 | 0 | 0.4 | 0.2 | 0.9 | -0.9 | 0.7 | -0.3 | -0.7 | 2.8 |
| 2012 | -0.3 | 1.2 | 0.1 | -0.6 | 0.4 | 0.4 | 0.2 | 1.2 | 0 | 0.5 | -0.3 | 0.5 | 3.3 |
| 2013 | 0.2 | 0.2 | -0.2 | 0 | -1 | -0.1 | 0.1 | 0.2 | 0.5 | -1.9 | -0.4 | 0.2 | -2.4 |
| 2014 | 0.4 | -0.2 | -0.3 | 0.3 | -0.3 | -1 | 0.2 | 0.1 | 0.6 | -0.1 | 0.4 | 0.2 | 0.3 |
| 2015 | 0.2 | 0.3 | -0.1 | 0.1 | 0.1 | 0 | 0.8 | 0.8 | 0.4 | -0.2 | -0.3 | 0.1 | 2.3 |
| 2016 | 0.1 | 0.3 | 0.4 | 0.5 | 0.8 | -0.1 | 0 | 0.2 | -0.2 | 0.3 | -0.1 | -0.3 | 2 |
| 2017 | 0.5 | 0.6 | 0.6 | -0.1 | 0.1 | 0.5 | 0.3 | 0 | 0.6 | 0.1 | 0.1 | -0.1 | 3.2 |
| 2018 | -0.1 | -0.5 | -0.2 | 0.3 | -0.2 | 0.1 | -0.6 | 0.3 | -0.3 | 0.8 | 0 | 0.7 | 0.3 |
| 2019 | 0 | 0.4 | 0.5 | 0 | -0.9 | -0.2 | 0 | -0.3 | 0.5 | 0 | 0.8 | -0.1 | 0.8 |
| 2020 | 0.2 | -0.6 | -1.9 | -0.9 | 1 | 0.4 | 0.8 | 0.6 | 1.1 | 0.1 | 0.7 | 0.3 | 1.6 |
| 2021 | 0.1 | 0.7 | -0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.1 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
